He said he was glad to see the Black Sticks victorious, after the Otago Highlanders beat his own side, the Canterbury Crusaders, on their home turf on Saturday night.
"I'm disappointed but that's the way this competition works. If you don't pull it together, you come second.
"We need to get back on the horse because it's not going to be any easier with the Chiefs."
McCaw was staying in Hastings and due to depart Hawke's Bay early this morning, ahead of the Crusaders' next game against the Chiefs at Christchurch's AMI stadium on Friday.
The Black Sticks women drew their opening game of the tournament 2-2 against Japan on Saturday. The crowd was rapt with last night's win against Argentina, who are ranked third internationally.
New Zealand, who were fourth at the Olympics and third at the Commonwealth Games, are ranked fourth in the world.
The second annual Hawke's Bay Festival of Hockey runs from April 7-19, with more than 80 games hosted at the Regional Sports Park and Park Island in Napier.
For tickets and further festival information, visit the website www.hockeyfestival.nz